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首页> 外文期刊>Journal of Financial Economic Policy >Determinants of systemically important banks: the case of Europe
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Determinants of systemically important banks: the case of Europe

机译：具有系统重要性的银行的决定因素：欧洲的情况

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Purpose - This paper aims to investigate the drivers of systemic risk and contagion among European banks from 2007 to 2012. The authors explain why some banks are expected to contribute more to systemic events in the European financial system than others by analysing the tail co-movement of banks' security prices. Design/methodology/approach - First, the authors derive a systemic risk measure from the concepts of marginal expected shortfall and conditional value at risk analysing tail co-movements of daily bank stock returns. The authors then run panel regressions for the systemic risk measure using idiosyncratic bank characteristics and a set of country and policy control variables. Findings - The results comprise highly significant drivers of systemic risk in the European banking sector with important implications for research and banking regulation. Using a set of panel regressions, the authors identify bank size, asset and income structure, loss and liquidity coverage, profitability and several macroeconomic conditions as drivers of systemic risk. Research limitations/implications - Analysing the tail co-movement of security prices excludes a number of "smaller" institutions without publicly listed securities. The other shortfall is that we do not assess the systemic impact of non-bank financial institutions. Practical implications - Regulators have to consider a broad variety of indicators for assessing systemic risks. Existing microprudential-oriented rules are less effective, and policymakers may consider new measures like asset diversification to mitigate systemic risks in the banking system. Originality/value - The authors contribute to existing empirical analyses in three ways. First, they propose a method to identify systemically important banks (SIBs). Second, they develop two measures to assess their potential negative impact on the system. Third, they contribute to the closing of the research gaps by analysing which macroprudential regulations for SIBs are most effective without hampering free market forces.
机译：目的-本文旨在调查2007年至2012年欧洲银行系统性风险和传染的驱动因素。作者通过分析尾部共同移动来解释为什么某些银行对欧洲金融系统中的系统性事件的贡献要大于其他银行。银行的担保价格。设计/方法/方法-首先，作者从边际预期缺口和风险条件值的概念出发，通过分析每日银行股票收益的尾部共同变动，得出系统性风险度量。然后，作者使用银行特有的特征以及一组国家和政策控制变量对系统风险度量进行面板回归。研究结果-结果包括欧洲银行业系统性风险的重要驱动因素，对研究和银行业监管具有重要意义。使用一组面板回归，作者将银行规模，资产和收入结构，亏损和流动性覆盖范围，盈利能力和若干宏观经济状况确定为系统风险的驱动因素。研究的局限性/意义-分析证券价格的尾随变化，排除了一些没有公开上市证券的“较小”机构。另一个不足之处是我们没有评估非银行金融机构的系统性影响。实际意义-监管者必须考虑各种各样的指标来评估系统性风险。现有的面向微观审慎的规则效果不佳，决策者可能会考虑采取新措施，例如资产多元化，以减轻银行体系中的系统性风险。原创性/价值-作者通过三种方式对现有的经验分析做出贡献。首先，他们提出了一种识别具有系统重要性的银行（SIB）的方法。其次，他们制定了两种措施来评估其对系统的潜在负面影响。第三，它们通过分析哪种针对SIB的宏观审慎法规最有效而又不影响自由市场力量，为缩小研究差距做出了贡献。

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